Showing 1 - 2 of 2
A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of...
Persistent link: https://www.econbiz.de/10004979097
factors, which correspond well with the 'foreign' parity variables in theory when market is imperfectly integrated and which …
Persistent link: https://www.econbiz.de/10005106411